Sometimes a picture is worth a 1000 words, check out http://artengine.ca/~pflemming/flemmweb_current/schem/opamp_linear/7805.pdfthis should give you a good idea of the connections

I would also suggest adding a .1uF ceramic capacitor on the output pin to GND. This will sometimes prevent high frequency oscillation on the output voltage. It is reccommended on the spec sheets. I have only seen the oscillation once, but it caused me grief not having it, so I now just add it.